I can fully understand your confusion since it is natural that you feel overwhelmed by this new viewpoint on the theory.
The answers given by Eric and Marek are just fine and I will not directly talk about principal bundles, local trivialization and the like. I want to present a very intuitive approach here.
I would suggest that you go one or two steps back and try to understand the notion of a covariant derivative in classical differential geometry. There, the covariant derivative $D$ assures that if you derive some quantity $F$ on a manifold, say some surface, this new quantity $DF$ will also lie "on the manifold" (actually, something related to it like the tangent space).
The following example will hopefully illustrate the issue what it means that something has to "stay on the manifold".
Mass-point on a surface
Ok, lets do the most simple example one could think of, the motion of a free mass point on a surface in Newtonian mechanics. As you know, the Lagrangian in this case is just the kinetic energy,
$$L = T = \frac{m}{2}\mathbf{v}^2$$
So, what is now $\mathbf{v}^2$? We have to assume that in every point, the velocity is tangential to the surface. Then, we know that $\mathbf{v}^2 = g_{ab}\dot{x}^a\dot{x}^b$ where we sum over the indices and the surface is described by some metric $g_{ab}(x)dx^adx^b$ and we have replaced the velocity by the time derivative of the position of the particle.
For the solution of the system we will need two terms. First of all, we want to calculate
$$\frac{\partial{L}}{\partial{x^k}} = \frac{m}{2}\partial_k{g_{ab}(x)}\dot{x}^a\dot{x}^b$$
second,
$$\frac{d}{dt}\frac{\partial{L}}{\partial{\dot{x}^k}} = \frac{d}{dt}\frac{m}{2}g_{ab}(x) \left( \delta^a_k\dot{x}^b + \dot{x}^a\delta^b_k \right) = m\frac{d}{dt}g_{kb}(x)\dot{x}^b$$
since $g$ is symmetric. Now,
$$m\frac{d}{dt}g_{kb}(x)\dot{x}^b = m\left( \partial_lg_{kb}(x)\dot{x}^l\dot{x}^b + g_{kb}(x)\ddot{x}^b\right) $$
Finally, the equations of motion are given by
$$\frac{d}{dt}\frac{\partial{L}}{\partial{\dot{x}^k}} - \frac{\partial{L}}{\partial{x^k}} = 0$$
and dropping m, re-using the symmetry in $g$ and renaming some indices, we arrive at
$$g_{kb}\ddot{x}^b+\frac{1}{2}\left( \partial_a g_{kb} + \partial_b g_{ka} - \partial_k g_{ab} \right)\dot{x}^a\dot{x}^b = 0$$
which is exactly by applying $g^{ik}$
$$\ddot{x}^i + \Gamma^i_{ab}\dot{x}^a\dot{x}^b = 0$$
Where the Christoffel symbols can directly seen as
$$\Gamma^i_{ab} = \frac{1}{2}g^{ik}\left( \partial_a g_{kb} + \partial_b g_{ka} - \partial_k g_{ab} \right)$$
and I hope I did not miscalculate anything.
Relation to electrodynamics
Now this equation of motion is already magic since it is precisely the equation of motion for a testparticle in general relativity. But what about (other) gauge field theories?
Here, the curvature is not defined with respect to the manifold directly but to a group somehow "attached" to it. That's why it will have some group indices but one can drop this if the Lie Algebra of the group is one dimensional as in the case of electrodynamics. There, our curvature is $F_{\mu\nu}$ but we could also state $F^a_{\mu b\nu}$ where now $a$ and $b$ are indices of the group. This looks much more familliar to the curvature of general relativity, $R^{\mu}_{\nu\alpha\beta}$ where all indices correspond to the manifold, in some sense, the tangent space is the group of general relativity, roughly speaking.
For historical reasons, the Christoffel symbols that somehow catch (not invariantly!) the, force, acting on the particle because of the curvature are in gauge theories called gauge fields $A$ and rescaled,
$$\beta A^a_{\mu b}dx^{\mu}" = "\Gamma^a_{\mu b}dx^\mu $$
with again group indices $a$ and $b$.
Now if you derive something on the manifold, you will always have to define that derivative with respect to the Christoffel Symbols to stay "in the manifold". On the other hand, the derivation will also have to respect the group character, one could say the result has to stay "in the group". This will be realized by a covariant derivative and here the "Christoffel symbols" are called gauge fields.
Sincerely
Robert